MCMC Settings¶

Main
By Algorithm
- AEES
- DE
- HMC
- RM-HMC
- MALA
- RWMH

Main ¶

An object of type algo_settings_t can be used to control the behavior of the MCMC routines. Each algorithm page details the relevant parameters for that methods, but we list the full settings here for completeness.

struct algo_settings_t
{
    // RNG seeding

    size_t rng_seed_value = std::random_device{}();

    // bounds

    bool vals_bound = false;

    ColVec_t lower_bounds;
    ColVec_t upper_bounds;

    // AEES
    aees_settings_t aees_settings;

    // DE
    de_settings_t de_settings;

    // HMC
    hmc_settings_t hmc_settings;

    // RM-HMC
    rmhmc_settings_t rmhmc_settings;

    // MALA
    mala_settings_t mala_settings;

    // RWMH
    rwmh_settings_t rwmh_settings;
};

Description:

rng_seed_value seed value used for random number generators.
vals_bound whether the search space of the algorithm is bounded.
lower_bounds defines the lower bounds of the search space.
upper_bounds defines the upper bounds of the search space.

Algorithm-specific data structures are listed in the next section.

By Algorithm ¶

AEES ¶

struct aees_settings_t
{
    size_t n_initial_draws = 1E03;
    size_t n_burnin_draws = 1E03;
    size_t n_keep_draws = 1E03;

    int omp_n_threads = -1; // numbers of threads to use

    fp_t par_scale = 1.0;
    Mat_t cov_mat;

    size_t n_rings = 5; // number of energy rings
    fp_t ee_prob_par = 0.10; // equi-energy probability parameter
    ColVec_t temper_vec; // temperature vector
};

DE ¶

struct de_settings_t
{
    bool jumps = false;

    size_t n_pop = 100;
    size_t n_burnin_draws = 1E03;
    size_t n_keep_draws = 1E03;

    int omp_n_threads = -1; // numbers of threads to use

    fp_t par_b = 1E-04;
    fp_t par_gamma = 1.0;
    fp_t par_gamma_jump = 2.0;

    ColVec_t initial_lb; // this will default to -0.5
    ColVec_t initial_ub; // this will default to  0.5

    size_t n_accept_draws; // will be returned by the algorithm
};

HMC ¶

struct hmc_settings_t
{
    size_t n_burnin_draws = 1E03;
    size_t n_keep_draws = 1E03;

    int omp_n_threads = -1; // numbers of threads to use

    size_t n_leap_steps = 1; // number of leap frog steps
    fp_t step_size = 1.0;
    Mat_t precond_mat;

    size_t n_accept_draws; // will be returned by the function
};

RM-HMC ¶

struct rmhmc_settings_t
{
    size_t n_burnin_draws = 1E03;
    size_t n_keep_draws = 1E03;

    int omp_n_threads = -1; // numbers of threads to use

    size_t n_leap_steps = 1; // number of leap frog steps
    fp_t step_size = 1.0;
    Mat_t precond_mat;

    size_t n_fp_steps = 5; // number of fixed point iteration steps

    size_t n_accept_draws; // will be returned by the function
};

MALA ¶

struct mala_settings_t
{
    size_t n_burnin_draws = 1E03;
    size_t n_keep_draws = 1E03;

    int omp_n_threads = -1; // numbers of threads to use

    fp_t step_size = 1.0;
    Mat_t precond_mat;

    size_t n_accept_draws; // will be returned by the function
};

RWMH ¶

struct rwmh_settings_t
{
    size_t n_burnin_draws = 1E03;
    size_t n_keep_draws = 1E03;

    int omp_n_threads = -1; // numbers of threads to use

    fp_t par_scale = 1.0;
    Mat_t cov_mat;

    size_t n_accept_draws; // will be returned by the function
};